Life Supplementary Quarterly Return (LF4) – Instructions

Changes to instructions for 2024

Data on Pages 20040, 20050, 20060, and 20070 to be reported on a Quarter-to-date basis.

Detailed instructions are provided to assist insurers/societies in clarifying filing requirements; they are not provided for every page or field in the LIFE Supplementary Quarterly Return (“LF4”). The instructions are applicable to all insurers/societies regardless of their jurisdiction of incorporation, unless specified otherwise.

All references to “pages” refer to pages of the LF4.

A. Overview

The LF4 is being used to gather data points not in the regulatory returns (LF1, LF2, LF3) required to calculated IFRS 17 metrics for life insurance companies. The LF4 consists of the following input tabs:

• 20010 Bonds
• 20020 Mortgages
• 20030 Loans
• 20040 NParExpGL
• 20050 ParExpGL
• 20060 NParAssumpChg
• 20070 ParAssumpChg
• 20080 SFRollFwd
• 20090 AUMRollFwd
• 20100 AUARollFwd
• 20200 LiabilitityRollFwd
• 20300 FS Balances
• 20400 Sales - Premiums
• 20500 Other Supp Data
• 30010 Comments

The above tabs are used for input. No rows or columns should be added or deleted to these tabs.

Unless otherwise indicated:

• values should be rounded to the nearest 1,000.
• income, expenses, volume and roll forward movements are year-to-date (YTD).
• values related to the statement of financial position are as at the end of the current period or as at the end of the prior year period (e.g. current period Q3 2023; prior period Q3 2022).

In many cases, the Office of the Superintendent of Financial Institutions (OSFI) will determine quarterly income, expenses and movement using the formula: YTD current quarter less YTD prior quarter. Determination of quarterly movements will allow quarterly trends to be analyzed.

OSFI recognizes that in certain instances information provided at a more granular level than the enterprise may require allocations. Page 30010 Comments includes a table to describe the allocations used and the basis of these allocations. Page 30010 Comments also includes tables to indicate any additional assumptions used and any other notes the insurer believes should be included.

In addition to the input tabs, the first three tabs - 10010 Balance Sheet, 10020 Top Line Volume, 10030 Profitability - summarize the metrics that will be produced using the data points in the LF4 along with data points in the LF1, LF2 and LF3 returns.

These instructions and definitions focus on new data points in the LF4 and are organized by input tabs. Refer to the LF1, LF2, LF3 filing instructions and definitions for enterprise level data points that are also present in these returns.

B. General definitions

Segment: A number of metrics are split by the following segments:

• Canada
• USA
• Europe (includes U.K. and Ireland)
• Asia
• Reinsurance
• Other (includes consolidation adjustments, business in run-off and corporate)

The definition of segment should align with the definition of segment used in your FRFI’s financial statement notes. If need be, more than one financial statement segment can be reported in the above segments. For example, if all of a FRFI’s business is in Canada and it reports three segments: Life, Annuity and Corporate, the Life and Annuity segments would be reported in the Canada segment and the Corporate segment would be reported in the Other segment. For insurers that have an Asset Management reportable segment, include this segment in Other.

C. Metrics tabs

The metrics are listed numerically in tabs 10010, 10020 and 10030. The following information is captured in these tabs:

• No: Metrics number
• Metric: Description/name of the metric
• Formula or Description of Metric (Enterprise Level): The actual formula for the metric at the enterprise level (versus segment) expressed in terms of the LF1, LF2, LF3 regulatory return data points and a description of the LF4 data points
• Level of Granularity: indicates level of granularity at which the metric will be calculated - enterprise level, segment, etc.
• Period: indicates the period/period of time for which the metric is calculated such as year-to-date, current quarter-end, etc.

D. Input tabs

Page 20010 - Bonds

Bonds at the end of the current quarter should be defined consistently with LF2, Page 21012, Line 479, Column 40. Where there is an external rating, use the same external rating used in the LICAT filing. Where no external rating exists, use your internal rating. In Column 01, record the balance sheet value by rating category. The percent of the total bonds that each category represents is automatically calculated in Column 02.

Checks:

• The total in column 01 should be equal to the amount entered on the LF2, Page 21012, Line 479, Column 40.

Page 20020 - Mortgages

Mortgages at the end of the current quarter should be defined consistently with LF2, Page 21012, Line 500, Column 40. Where there is an external rating, use it. If no external rating exists, use your internal rating and if no internal rating exists, classify the mortgage as unrated.

In Columns 01 and 02, record the balance sheet value of mortgages by rating category, splitting between those not covered by mortgage default insurance (Non-insured) and those covered by mortgage default insurance (Insured). Finally, in Column 03, the percentage that each rating category (sum of Columns 01 and 02) represents of the total balance sheet value of mortgages, is automatically calculated.

Checks:

• The total in columns 01 and 02 should be equal to the amount entered on the LF2, Page 21012, Line 500, Column 40.

Page 20030 - Loans

Loans at the end of the current quarter should be defined consistently with LF2, Page 21012, Line 810, Column 40. Where there is an external rating, use it. If no external rating exists, use your internal rating and if no internal rating exists, classify the loan as unrated. In Column 01, record the balance sheet value by rating category. In column 02 the percent of the total loans that each rating category represents is automatically calculated.

Checks:

• The total in column 01 should be equal to the amount entered on the LF2, Page 21012, Line 810, Column 40.

Page 20040 - Non-Par experience gains and losses

This page contains a table for each segment including a total enterprise table. In the spaces provided in this page, record the QTD difference between actual experience and best-estimate assumptions during the current year for non-par business split by:

• Mortality
• Morbidity
• Longevity
• Expense
• Investment
• Policyholder Behaviour
• Combined Insurance
• Combined Insurance and Policyholder Behaviour
• Other

Experience gains and losses should be reported net of reinsurance. Where experience gains and losses related to mortality, morbidity and longevity cannot be separated, reflect the combined gains and losses under ‘Combined Insurance’. Where experience gains and losses related to mortality, morbidity, longevity and policyholder behaviour cannot be separated, reflect the combined gains and losses under ‘Combined Insurance & P/H Behaviour’. If one of these two categories needs to be used, inform your lead supervisor. In most instances, the lead supervisor will request a plan to be able to provide the splits by category within a reasonable timeframe.

The investment lines should include all investment impacts not related to surplus.

The experience gains/losses incurred during the reporting period are split by:

• Reflected in income (those experience gains and losses related to current period or previous periods) in either:
  • In the insurance service result
  • Net investment result (investment gains and losses)
• Not reflected in income but deferred in the contract service margin (relate to future periods).

Record total enterprise level experience gains and losses by category and then split these gains and losses by segment in the tables provided.

Checks:

• Sum of the Canada, USA, Europe, Asia, Reinsurance and Other tables is equal to the Enterprise total.

Page 20050 - Par experience gains and losses

See Non-Par Experience Gains and Losses instructions above. The tables for the par business further split the gains reflected in the insurance service result, net investment result and deferred in the contract service margin (CSM) by the following par sub-accounts:

• Open to new business: post demutualization business or par business still open to new business.
• Closed to new business: post demutualization business or par business not open to new business.
• Demutualized closed Par: business closed at demutualization.

The insurer should disclose the information for each sub-account that may exist. If the insurer has more sub-accounts than those shown in the table, combine sub-accounts under the most appropriate sub-account. For example, if the insurer has multiple post-demutualization sub- accounts opened to new business, the total of these sub-accounts should be recorded in the ’Sub-Account open to New Business’ column. The details of the sub-accounts combined should be indicated in the comment boxes below each table. Similarly, if the insurer has commingled accounts that are not practical to be reported separately, the insurer should also indicate the nature and extent of commingling in the comment boxes below each schedule. If there is not enough space in the comment boxes, embed either a WORD or EXCEL document in the comment boxes with the details.

Information on ancillary accounts related to demutualized closed blocks should be excluded.

The total of each sub-account then needs to be split by where the total gains/losses will be allocated:

• Surplus
• Dividend Stabilization Reserve (DSR)
• Other

For the gains/losses allocated to other, include the total allocation in the table and then in the ‘Other Details’ table to the right, specify the items to which the gains/losses have been allocated. Other includes the transfer to shareholders.

Checks:

• Sum of the Canada, USA, Europe, Asia, Reinsurance and Other tables is equal to the Enterprise table.
• Amounts allocated to surplus plus amounts allocated to DSR plus amounts allocated to other are equal to the total of the experience gains/losses by sub-account.

Page 20060 - Non-Par assumption changes

Record QTD changes in best estimate assumptions of the expected cash flows, the risk adjustment and the contract service margin, methodology changes for the calculation of insurance contract liabilities. Record the changes in the appropriate category:

• Mortality (insurance business)
• Morbidity
• Longevity (annuity business)
• Expense
• Investment
• Policyholder Behaviour
• Combined Insurance
• Combined Insurance and Policyholder Behaviour
• Management Actions
• Model and Methodology Changes
• Errors
• Other

Assumption changes should be reported net of reinsurance. Where assumption changes related to mortality, morbidity and longevity cannot be separated, reflect the combined gains and losses under ‘Combined Insurance’. Where assumption changes related to mortality, morbidity, longevity and policyholder behaviour cannot be separated, reflect the combined gains and losses under ‘Combined Insurance & P/H Behaviour’. If one of these two categories needs to be used, inform your lead supervisor. In most instances, the lead supervisor will request a plan to be able to provide the splits by category within a reasonable timeframe.

The investment lines should include all investment impacts not related to surplus.

Management Actions include specific actions that impact the value of insurance contract liabilities such as price changes in products, changes in management fee structures, new or revised reinsurance deals on in-force business, acquisitions and sales of blocks of business, etc. Other includes changes that cannot be classified in any of the other categories.

The assumption changes are split by:

• Reflected in income in the insurance result (related to current period or previous periods) in either:
  • In the insurance service result
  • Net investment result (investment assumption changes)
• Not reflected in income but deferred in the contract service margin (relate to future periods).

Record total enterprise level assumption changes by category and then split these assumption changes by segment in the tables provided.

Checks:

• Sum of the Canada, USA, Europe, Asia, Reinsurance and Other tables is equal to the Enterprise table.

Page 20070 - Par assumption changes

See Non-Par assumption changes and Par Experience Gains and Losses above.

Page 20080 - Segregated fund roll forward

Record YTD movements related to Individual and Group business in columns 01 and 02 respectively for each table, with the opening balance at the beginning of the current year and ending balance at the end of the current quarter. The change in balances are comprised of the following YTD segregated fund movements:

• Inflows: cash contributions to segregated funds such as deposits.
• Outflows: cash payments from segregated funds such as redemptions.
• Market-related changes: changes in the value of segregated funds arising from unrealized gains and losses and realized gains and losses.
• Other: other movements impacting the value of segregated funds such as expenses charges, fees, consolidation adjustments, transfer to/(from) the segregated funds to the general funds), interest and dividend income, etc.

Record total enterprise level segregated fund balances and movement along with the split by segment in the tables provided.

Checks:

• Sum of the Canada, USA, Europe, Asia, Reinsurance and Other tables is equal to the Enterprise table.

Page 20090 - Assets under management roll forward (excludes general and segregated fund assets)

This page contains a table for each segment including a total enterprise table. For purposes of the LF4, Assets Under Management are assets managed on behalf of an individual, group, partnership or corporation by an insurer or asset management/investment company owned by an insurer and includes mutual funds, ETFs, REITs, etc. The investment/credit risk related to these assets is borne by the investor. These assets should be split by the following categories:

• Retail: assets under management as defined above where the investors are individuals.
• Institutional: assets under management as defined above where the investors are institutions making investments on behalf of other investors/clients.
• Other: assets under management as defined above that cannot be classified as retail or institutional (may include funds that are a mix of retail and institutional); includes assets for group products where the individual unitholders may make investment choices.
• Consolidation Adjustments: adjustments to eliminate the impact of related-party transactions that have the effect of overstating the value of assets under management and related movements.

Opening balance is the balance at the beginning of the previous year and ending balance is the balance at the end of the current quarter. To go from the opening balance to the ending balances record the following YTD movements for each category of assets under management:

• Inflows: cash contributions such as deposits.
• Outflows: cash payments to unitholders such as redemptions.
• Market- related changes: changes in the value of assets under management arising from unrealized gains and losses and realized gains and losses.
• Other: other movements impacting the value of assets under management such as expense charges, fees, interest and dividend income, etc.

Record total enterprise level assets under management and movement along with the split by segment in the tables provided.

Checks:

• Sum of the Canada, USA, Europe, Asia, Reinsurance and Other tables is equal to the Enterprise table.

Page 20100 - Assets under administration roll forward

For purposes of LF4, assets under administration are assets administered rather than managed by an insurer or asset management/investment company owned by the insurer.

See assets under management above for the definition of the movements and opening and ending balances.

Checks:

• Sum of the Canada, USA, Europe, Asia, Reinsurance and Other tables is equal to the Enterprise table.

Page 20200 - Liability roll forward balances by segment

This page provides the split by segment for various balances in the Liability Roll Forward pages in the LF1. The data reference in the table refers to the data point in LF1 where a split by segment is required. The references are in the order of return, page number, line number and column number. Hence, a reference to Page 20012, Line 099, Column 10 of the LF1 return would appear as: LF1 P20012-099-10. The data collected from this page will be used in the calculations for Metrics # 4, 5, 6, 8, 9 and 10.

Checks:

• Sum of all segments in each line in the table is equal to the LF1 data reference noted in the table.
• Sum of all segments in each line in the Prior Period table is equal to the LF1 data reference noted in the table only in Q4.

Note on prior period amount:

From 2024 onwards, the prior year YTD changes for the first three quarters of the year can be checked using the prior year LF1 filing. Make sure that the sum of all segments is equal to the current period YTD LF1 reference in the prior year’s LF1 return for the same period. Where, because of restatements, the prior year movements and balances for items in the liability roll forward differ from the prior year filing, your lead supervisor should be notified.

Page 20300 - Financial statement balances by segment

This page provides the split by segment for various balances in the Core Financials pages in the LF1. The data reference in the table refers to the data point in LF1 where a split by segment is required. The data collected from this page will be used in calculation for Metric # 28, 30, 31 and 33.

Note

• Input for Metric #28a is applicable only to stock insurance companies.
• Input for Metric #28b is applicable to both mutual and stock companies.
• Input for Metric #28c is applicable to branches.
• For Metric #31, the data components for this metric are available for total enterprise (LF1) and Canada, USA and Europe (LF2) in the LF1 and LF2 returns. Only the current YTD insurance result and insurance revenue for Asia, Reinsurance and Other (including consolidation adjustments) need to be provided.

Checks:

• Sum of all segments in each line in the table is equal to the LF1 data reference noted in the table.
• Sum of insurance service result for Asia, Reinsurance, Other (including consolidation adjustments) plus LF2, Page 35015, Line 130, Column 99; LF2, Page 35025, Line 130, Column 60 and LF2, Page 35025, Line 130, Column 70 ties to LF1, Page 20022, Line 199, Column 01.
• Sum of insurance revenue for Asia, Reinsurance, Other (including consolidation adjustments) plus LF2, Page 35015, Line 099, Column 99; LF2, Page 35025, Line 099, Column 60 and LF2, Page 35025, Line 099, Column 70 ties to LF1, Page 20022, Line 099, Column 01.
• Sum of the current period segregated fund net assets by segment (metric 33) equal to the sum of Line 006, Columns 01 and 02 of the Enterprise table on Page 20080 SFRollFwd.
• The prior period segregated fund net assets by segment are equal to the balances of the corresponding segment table on Page 20080 SFRollFwd.

Page 20400 - Sales and premiums by line of business and by segment

Sales by line of business and by segment

Use LIMRA definitions when recording sales. For FRFIs that do not report to LIMRA, use your internal definitions; however, inform your lead supervisor and e-mail your lead supervisor of the definitions used by your FRFI.

Split current and prior year YTD sales by:

• Total
• Individual Life Non-Par
• Individual Life Par
• Individual Annuity (excluding segregated funds) including transfers and rollovers
• Segregated Funds including transfers and rollovers
• Individual Health
• Individual Other Non-Par
• Individual Other Par
• Group Annuity
• Group Segregated Funds
• Group Life
• Group Health
• Group Other Non-Par
• Group Oher Par
• Administrative Services Only (ASO)
• Other

Sales are further split by segment.

Any individual sales that cannot be classified in any of the other individual sales categories should be classified as Individual Other Non-Par and Individual Other Par as appropriate. Any group sales that cannot be classified in any of the other group sales categories should be classified as Group Other Non-Par and Group Other Par as appropriate. The Other category is used for reinsurance sales, etc.

Checks:

• Sum of current quarter YTD sales by category for each segment and the enterprise (total of the segments) is equal to the total for each segment and the enterprise.
• Sum of the current quarter YTD sales by segment is equal to enterprise sales for each sales category.
• Sum of prior quarter YTD sales by category for each segment and the enterprise (total of the segments) is equal to the total for each segment and the enterprise.
• Sum of the prior quarter YTD sales by segment is equal to enterprise sales for each sales category.

Gross insurance premiums by line of business and by segment

Gross insurance premiums reported in the LF4 should be consistent with the definition of gross premiums under IFRS 4.

Split current quarter YTD and prior year YTD gross insurance premiums by:

• Total
• Individual Life - Non-Par
• Individual Life - Par
• Individual Health
• Individual Accident and Sickness
• Group Life
• Group Health
• Property and Casualty
• Reinsurance

Gross premiums are further split by segment.

Checks:

• Sum of current quarter YTD gross premiums by category for each segment and the enterprise (total of the segments) is equal to the total for each segment and the enterprise.
• Sum of the current quarter YTD gross premiums by segment is equal to enterprise gross premiums for each gross premium category.
• Sum of prior quarter YTD gross premiums by category for each segment and the enterprise (total of the segments) is equal to the total for each segment and the enterprise.
• Sum of the prior quarter YTD gross premiums by segment is equal to enterprise gross premiums for each gross premium category.

Page 20500 - Other supplementary data by segment

This page collects additional data by segment for information that is not available in the LF1, LF2 or LF3 returns.

The amount reported in Enterprise should equal to the sum of all segments for each line.

Net (Direct less Reinsurance) risk adjustment on onerous PAA contracts - Metric 5

The amount reflected in the space provided should be the additional risk adjustment for the liability for remaining coverage on onerous PAA contracts.

Impact of market movement on CSM - Metric 12

Input the YTD change in the CSM for VFA contracts related to market movements by segment and for the enterprise in total. The market movements reflect the changes in the FRFI’s share of the underlying assets supporting these VFA contracts as well as changes arising from the effects of financial guarantees reflected in the CSM.

Loan provisions - Metric 18

Input the Provision related to Other Loans only. This amount should be a subset of the amount reported in LF2, Page 21020, Line 710, Column 60.

New business strain - Metric 32

This metric measures current year YTD expected profit at inception for new business and is the sum of the following components:

• Loss recognized at inception on onerous contracts related to direct business
• Change in CSM related to new business at inception (non-onerous contracts) related to direct business
• Change in CSM related to new business at inception (non-onerous contracts) related to reinsurance
• Impact on income of reinsurance recognized at inception related to new onerous direct contracts

The above should be split by segment.

Management Expense Ratio (MER) segregated funds - Metric 33

This metric is calculated at both the enterprise and segment level. The following components are required for the numerator:

• YTD management fees paid by the unitholders
• YTD expenses and taxes charged to the segregated funds

The above should be split by segment.

YTD Management Expense Ratio (MER) assets under management - Metrics 34a to 34c

These metrics are calculated at both the enterprise and segment level. See instructions for Page 20090 for definitions of retail, institutional, other and consolidation adjustments.

The components below split by the retail, institutional and other at the enterprise and segment levels are required for the numerator:

• YTD management fees paid by the unitholders
• YTD expenses and taxes charged to the assets under management

The components below split by the retail, institutional and other at the enterprise and segment levels are required for the denominator:

• Current year opening assets under management
• Current period ending assets under management

Checks:

• Sum of each of the above components by segment should tie to the enterprise component for retail assets under management.
• Sum of each of the above components by segment should tie to the enterprise component for institutional assets under management.
• Sum of each of the above components by segment should tie to the enterprise component for other assets under management.
• Opening retail assets under management for each segment and the enterprise should be equal to the corresponding opening balances on Page 20090 AUMRollFwd
• Opening institutional assets under management for each segment and the enterprise should be equal to the corresponding opening balances on Page 20090 AUMRollFwd
• Opening other assets under management for each segment and the enterprise should be equal to the corresponding opening balances on Page 20090 AUMRollFwd
• Opening consolidation assets under management for each segment and the enterprise should be equal to the corresponding opening balances on Page 20090 AUMRollFwd
• Ending retail assets under management for each segment and the enterprise should be equal to the corresponding ending balances on Page 20090 AUMRollFwd
• Ending institutional assets under management for each segment and the enterprise should be equal to the corresponding ending balances on Page 20090 AUMRollFwd
• Ending other assets under management for each segment and the enterprise should be equal to the corresponding ending balances on Page 20090 AUMRollFwd
• Ending consolidation assets under management for each segment and the enterprise should be equal to the corresponding ending balances on Page 20090 AUMRollFwd

Onerous contract impact - Metric 35

This metric is calculated at both the enterprise and segment level as the ratio of the impact of onerous contracts divided by insurance revenue net of the allocation of reinsurance premiums. Insurers should analyse and report the impact of onerous contracts at the level at which the determination of onerous is being made.

The components of the impact of onerous contracts are:

• YTD current year impact of onerous contracts at inception related to direct contracts (loss recognized at inception on an onerous contract which is equal to the loss component established at inception).
• YTD current year impact of onerous contracts at inception related to reinsurance contracts covering the underlying direct onerous contracts (corresponding gain recognized in profit arising from the coverage by reinsurance contracts of losses on the underlying direct contracts. This gain is equal to the loss recovery component at inception).
• YTD current year losses and reversal of losses on onerous contracts subsequent to inception related to changes in assumptions or experience on direct onerous contracts (subsequent changes to the loss component of direct contracts excluding amortization of the loss component).
• YTD current year income impact of changes in the loss recovery component on reinsurance contracts related to underlying direct onerous contracts (subsequent to inception related to changes in assumptions or experience excluding amortization).

Amounts recorded for the above components should exclude both the amortization the loss/recovery component and the offset in insurance revenue/allocation of reinsurance premiums.

The denominator consists of two components:

• YTD Current Year Insurance Revenue
• YTD Current Year Allocation of Reinsurance Premiums

Refer to instructions for Page 20300 for further details on insurance revenue. The allocation of reinsurance premiums should be Reported split by segment and for the enterprise in total.

Expense metric - Metric 36

Directly Attributable (Adjusted Insurance Service Expenses) plus Operating Expenses as a Percentage of Insurance Revenue plus Other Income.

The numerator consists of the YTD current year adjusted insurance service and general and operating expenses split by segment.

Adjusted insurance services expenses and general and operating expenses are equal to insurance service expenses and general and operating expenses less claims and benefits, losses and reversal of losses on onerous contracts, experience rated refunds, interest on policyholder deposits, interest on subordinated debt, interest on long term debt and other interest expense.

Checks:

• Sum of YTD adjusted insurance service expenses and general and operating expenses operating by segment is equal to: LF2, Page 23015, Line 420 and 440, Column 01 less Page 23015, Lines 010, 080, 090, 190, 200, 205 and 210, Column 01.

The denominator consists of two components:

• Insurance Revenue
• Other Income

Refer to instructions for Page 20300 for further details on insurance revenue. Other income should be split by segment.

Checks:

• Sum of YTD other income by segment should tie to LF1, Page 20022, Line 410, Column 01.

Investments results metric - Metric 39

Comparison Investment Income to Unwind of Discount Rate

This metric is calculated at both the enterprise and segment level. The following components are required for the numerator:

• YTD current year investment income on assets backing insurance and reinsurance liabilities and investment contracts excluding segregated funds that is reflected in investment return.
• YTD current year unrealized gains and losses on assets backing insurance and reinsurance liabilities and investment contracts excluding segregated funds that is reflected in investment return.
• YTD current year unrealized gains and losses on assets backing insurance and reinsurance liabilities and investment contracts excluding segregated funds that is reflected in other comprehensive income (OCI).

The following components are required for the denominator:

• YTD current year net finance expenses/income on direct insurance contracts related to the unwind of the discount reflected in the net investment result.
• YTD current year net finance expenses/income on reinsurance contracts related to the unwind of the discount reflected in the net investment result.
• YTD current year net finance expenses/income on direct insurance contracts related to the unwind of the discount reflected in OCI.
• YTD current year net finance expenses/income on reinsurance contracts related to the unwind of the discount reflected in OCI.